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gbKalmanFilter

The Kalman filter is an algorithm that uses a series of measurements observed over time, containing statistical noise and other inaccuracies. It was originally devised to work with noisy and incomplete data. Mainly designed for and applied in dynamic systems... such as price data on charts.

Details: https://en.wikipedia.org/wiki/Kalman_filter

The screenshot contains two identical price charts (Range Bar 10). It shows the Kalman Filter with different gain settings:

Gain = 20 Pink
Gain = 200 Yellow
Gain = 500 Cyan
Gain = 1000 Red

Enjoy,
TraderGB

Category NinjaTrader 8 Indicators and More

Details: gbKalmanFilter
Category: NinjaTrader 8 Indicators and More

March 5th, 2021
Size: 1.72 KB
Downloaded: 527 times

Comments/ratings

WoodyFox March 5th, 2021 07:35 AM

Excellent, Thank You for Sharing!

MrTrader March 6th, 2021 06:54 AM

Thank You!

sobeking March 12th, 2021 02:04 PM

No Comment

agan1337 March 16th, 2021 11:12 AM

No Comment

zoomie February 28th, 2022 09:43 AM

Thank you

Lewis April 16th, 2022 01:22 AM

Thanks very much!

Davydh December 8th, 2022 01:10 AM

Looks phenomenal. I can't wait to try it out!

agalindoc June 24th, 2023 01:59 PM

thanks!

TP10 June 29th, 2023 12:04 PM

Thank you for this TraderGB. Have you had a chance to explore the filter? Any thought?